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Stochastic finance : an introduction in discrete time / Hans Föllmer, Alexander Schied.

By:

Föllmer, Hans [author.]

Contributor(s):

Schied, Alexander [author.]

Material type: Text

TextSeries: De Gruyter studies in mathematics ; 27.Publisher: Berlin ; New York : Walter de Gruyter, 2004Edition: Second revised and extended editionDescription: xi, 459 pages ; 25 cmContent type:

text

Media type:

unmediated

Carrier type:

volume

ISBN:

3110183463
9783110183467

Subject(s):

DDC classification:

332.01519232 22

LOC classification:

HG176.5 .F65 2004

Contents:

I. Mathematical finance in one period -- 1. Arbitrage theory -- 2. Preferences -- 3. Optimality and equilibrium -- 4. Monetary measures of risk -- II. Dynamic hedging -- 5. Dynamic arbitrage theory -- 6. American contingent claims -- 7. Superhedging -- 8. Efficient hedging -- 9. Hedging under constraints -- 10. Minimizing the hedging error.

Review: "This book is an introduction to financial mathematics. It is intended for graduate students in mathematics and for researchers working in academia and industry."--BOOK JACKET.

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Holdings
Item type	Current library	Call number	Copy number	Status	Date due	Barcode
Book	City Campus City Campus Main Collection	332.01519232 FOL (Browse shelf(Opens below))	1	Available		A264453B

Includes bibliographical references (pages 439-448) and index.

"This book is an introduction to financial mathematics. It is intended for graduate students in mathematics and for researchers working in academia and industry."--BOOK JACKET.

Machine converted from AACR2 source record.

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